Characterizing M-estimators

被引：1
|
作者：
Dimitriadis, Timo [1 ]
Fissler, Tobias [2 ]
Ziegel, Johanna [3 ]
机构：
[1] Heidelberg Univ, Alfred Weber Inst Econ, Bergheimer Str 58, D-69115 Heidelberg, Germany
[2] Swiss Fed Inst Technol, Dept Math, RiskLab, Ramistr 101, CH-8092 Zurich, Switzerland
[3] Univ Bern, Inst Math Stat & Actuarial Sci, Alpeneggstr 22, CH-3012 Bern, Switzerland
来源：
BIOMETRIKA | 2024年 / 111卷 / 01期
基金：
瑞士国家科学基金会;
关键词：
Characterization; Loss function; M-estimation; Strict consistency; EXPECTED SHORTFALL; REGRESSION; PROBABILITIES; MODELS;
D O I：
10.1093/biomet/asad026
中图分类号：
Q [生物科学];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation. This novel characterization result allows us to leverage existing results on loss functions known from the literature on forecast evaluation in estimation theory. We exemplify advantageous implications for the fields of robust, efficient, equivariant and Pareto-optimal M-estimation.
引用
收藏
页码：339 / 346
页数：8
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